Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0022 |
| Annualized Std Dev | 0.1618 |
| Annualized Sharpe (Rf=0%) | -0.0137 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4941.0000 |
| NAs | 1.0000 |
| Minimum | -0.1369 |
| Quartile 1 | -0.0038 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0043 |
| Maximum | 0.1508 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0102 |
| Skewness | -0.1532 |
| Kurtosis | 30.4886 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0074 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0087 |
| Downside Deviation (MAR=210%) | 0.0123 |
| Downside Deviation (Rf=0%) | 0.0074 |
| Downside Deviation (0%) | 0.0074 |
| Maximum Drawdown | 0.6388 |
| Historical VaR (95%) | -0.0131 |
| Historical ES (95%) | -0.0246 |
| Modified VaR (95%) | -0.0109 |
| Modified ES (95%) | -0.0109 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-01 | 2008-12-15 | NA | -0.6388 | 3498 | 412 | NA |
| 2001-08-10 | 2004-05-10 | 2005-06-27 | -0.1900 | 973 | 688 | 285 |
| 2005-09-12 | 2005-09-26 | 2005-12-27 | -0.0504 | 75 | 11 | 64 |
| 2006-03-03 | 2006-05-18 | 2006-08-01 | -0.0358 | 105 | 54 | 51 |
| 2006-11-13 | 2006-12-15 | 2006-12-29 | -0.0346 | 33 | 24 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | 0.1 | 0.1 | -1.3 | 1.6 | 0.2 | -1.3 | -0.6 |
| 2002 | 1.1 | 1.6 | 0 | 1.2 | 0 | 0.7 | 0.5 | 0.2 | 0.8 | 0.2 | -0.2 | 0.7 | 6.9 |
| 2003 | 0.5 | 0 | 0 | 0.8 | -0.3 | 0.6 | 1.4 | -0.2 | 0.8 | 0.4 | 0.4 | -0.3 | 4.3 |
| 2004 | 0.6 | 0.3 | -0.4 | 0.9 | -0.5 | 1.3 | 0.5 | 0.4 | -1.2 | 0.3 | 2.3 | 0.5 | 5.1 |
| 2005 | 0.3 | 0.7 | 0.7 | -0.4 | 0.5 | -0.4 | 0.1 | 0.4 | -0.1 | 0.4 | 0.6 | -0.9 | 2 |
| 2006 | -0.4 | 0.8 | -0.2 | 0.7 | 1.2 | -0.1 | 0.4 | 0.3 | 0.5 | -0.1 | 0.3 | 1.1 | 4.6 |
| 2007 | -0.1 | 0.1 | 0.3 | -0.1 | 0.1 | 0.9 | -1 | 0.1 | 0.1 | -0.4 | 1.5 | 2 | 3.6 |
| 2008 | 0.4 | -0.4 | 1.3 | 0.8 | -0.3 | 0.4 | 0.2 | -0.2 | 2.9 | -4.1 | 2.7 | -2.7 | 0.5 |
| 2009 | -0.6 | 0.3 | 0.8 | -0.8 | -1.1 | -0.3 | 1.6 | 1.2 | -0.8 | -1.7 | 0.2 | 0.6 | -0.7 |
| 2010 | 0.3 | 0.7 | 0.1 | -0.5 | -0.7 | 0.3 | 0 | 0.4 | 0.5 | 0.1 | -2 | 3.2 | 2.4 |
| 2011 | 1.1 | -0.8 | 0.2 | 0.6 | -0.1 | 0.1 | 2.2 | -1 | 0.8 | -0.9 | 0.4 | -0.2 | 2.2 |
| 2012 | -0.8 | 0.6 | 1.3 | 0.9 | 0.5 | 0.8 | 0 | 0.4 | -0.6 | 0.7 | 1 | 0.7 | 5.7 |
| 2013 | -0.4 | 0.3 | -0.1 | -0.1 | -1.8 | 0 | -1.4 | -0.6 | 0.3 | -1.2 | 0.3 | -0.2 | -5 |
| 2014 | 1.1 | -0.1 | -0.1 | 0.1 | -0.4 | 0.1 | 0.1 | 0 | 1 | -0.2 | 0.2 | 0.6 | 2.7 |
| 2015 | 0.7 | 1.4 | 0 | -0.6 | 0.5 | 0.3 | 0.6 | 0.4 | 0.4 | 0.6 | 0.3 | 0 | 4.8 |
| 2016 | 0.7 | -0.5 | 0.3 | 0.3 | 0.9 | 0.1 | 0.2 | -0.1 | 0.1 | 0.3 | -1.1 | 0.1 | 1.3 |
| 2017 | -0.1 | -0.4 | 0 | 0.9 | -0.3 | 0 | 0.5 | 0.7 | 0 | 0.4 | 0.6 | -0.1 | 2.2 |
| 2018 | 0.4 | -0.5 | 0.3 | -0.2 | 0.2 | 0.5 | 0.5 | 0.3 | 0 | 0.9 | 0 | 0.4 | 2.9 |
| 2019 | -0.4 | 0.4 | 0.5 | 0.6 | 0.7 | -0.2 | 0 | 0.1 | 0.1 | 0.1 | 0.1 | -0.2 | 1.9 |
| 2020 | 0.1 | -4.5 | -3.5 | -0.5 | 0.5 | 1.4 | 0.7 | 0.4 | 0.9 | 0.2 | 0.5 | 0.7 | -3.2 |
| 2021 | -0.5 | 0.4 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
